Sequential tests of multiple hypotheses controlling false discovery and nondiscovery rates

DOI10.1080/07474946.2020.1726686zbMATH Open1442.62041arXiv1311.3350OpenAlexW3024926731MaRDI QIDQ5113795FDOQ5113795

Jay Bartroff, Jinlin Song

Publication date: 17 June 2020

Published in: Sequential Analysis (Search for Journal in Brave)

Abstract: We propose a general and flexible procedure for testing multiple hypotheses about sequential (or streaming) data that simultaneously controls both the false discovery rate (FDR) and false nondiscovery rate (FNR) under minimal assumptions about the data streams which may differ in distribution, dimension, and be dependent. All that is needed is a test statistic for each data stream that controls the conventional type I and II error probabilities, and no information or assumptions are required about the joint distribution of the statistics or data streams. The procedure can be used with sequential, group sequential, truncated, or other sampling schemes. The procedure is a natural extension of Benjamini and Hochberg's (1995) widely-used fixed sample size procedure to the domain of sequential data, with the added benefit of simultaneous FDR and FNR control that sequential sampling affords. We prove the procedure's error control and give some tips for implementation in commonly encountered testing situations.

Full work available at URL: https://arxiv.org/abs/1311.3350

zbMATH Keywords

multiple comparisonsmultiple testingsequential analysisgeneralized likelihood ratiosequential hypothesis testingWald approximationsmultiple endpoint clinical trials

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to biology and medical sciences; meta analysis (62P10) Sequential statistical analysis (62L10) Paired and multiple comparisons; multiple testing (62J15) Sequential estimation (62L12)

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